Propagation of chaos and the many-demes limit for weakly interacting diffusions in the sparse regime

Abstract

Propagation of chaos is a well-studied phenomenon and shows that weakly interacting diffusions may become independent as the system size converges to infinity. Most of the literature focuses on the case of exchangeable systems where all involved diffusions have the same distribution and are "of the same size". In this paper, we analyze the case where only a few diffusions start outside of an accessible trap. Our main result shows that in this "sparse regime" the system of weakly interacting diffusions converges in distribution to a forest of excursions from the trap. In particular, initial independence propagates in the limit and results in a forest of independent trees.

arXiv comment32 pages

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Cited by in corpus (2)

• Multilevel Picard approximations for McKean-Vlasov stochastic differential equations
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